"My trading system backtest win rate is 90%, why am I always losing money in live trading?" Recently, I've been asked this question so frequently that it's frightening. Every time I hear this, I want to ask back: do you really believe that history will repeat itself exactly as before? In the crypto world, people who trust backtest data are no different from those who claim "Bitcoin can go to zero"—they're just digging their own graves.

As an analyst who has been fooled by backtests, I need to lay out this truth today: backtesting is just "armchair quarterbacking." It can tell you what happened in the past and which methods once worked, but it can never guarantee future profits. Especially in the crypto market, which is filled with black swans, policy shocks, and capital manipulation, the value of backtest references might be no better than flipping a coin at random.

Let me share a real case to make this clear. Last year, a trader came to me with a "Bitcoin and Gold linkage system," claiming that their backtest win rate from 2020-2023 reached 92%, with an annualized return of 150%. I asked him to show me the system parameters, and upon inspection, I found the truth: his backtest data deliberately skipped the most aggressive period of Fed rate hikes in 2022. During that time, both gold and Bitcoin fell together, and his system had no response. I told him to fill in the missing data and rerun the backtest, and the win rate dropped directly from 92% to 48%, which is even worse than flipping a coin relying on probability.

So here’s the key question: how can you correctly approach backtesting and avoid being fooled by data? The first and most important rule is "full-cycle coverage." You can't just test on profitable markets; you must include bear markets, bull markets, sideways markets, and black swan events (like regulatory policy changes or exchange risks). Only then does the backtest have some real value.